Financial Statement Analysis - edbodmer - home财务报表分析- edbodmer回家.ppt

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Financial Statement Analysis - edbodmer - home财务报表分析- edbodmer回家.ppt

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Resources and Contacts My contacts Ed Bodmer Phone: +001-630-886-2754 E-mail: edbodmer@ Other Sources Financial Library – project finance case studies including Eurotunnel and Dabhol Financial Library – Monte Carlo simulation analysis Banks or Rating Agencies Value Debt with Risk Classification Systems Map of Internal Ratings to Public Rating Agencies SP Ratio Definitions SP Benchmarks Example of Using Ratios to Gauge Credit Rating The credit ratios are shown next to the achieved ratios. Concentrate on Funds from operations ratios. Note that based on business profile scores published by SP Credit Rating Standards and Business Risk Debt Capacity and Interest Cover Despite theory of probability of default and loss given default, the basic technique to establish bond ratings continues to be cover ratios,\. Default Rates and Credit Spreads Increase of 5% Credit Crisis Credit Spreads Defaults versus Long-term Average Moodys Speculative Grade Trailing 12-Month Default Rates Actual Jan. 2000 to Aug. 2002 / Forecasted Sept. 2002 to Feb. 2003 6.2% 6.7% 7.1% 7.7% 7.7% 7.9% 8.5% 8.8% 9.0% 9.6% 9.8% 10.5% 10.7% 10.5% 10.3% 10.3% 10.5% 10.3% 10.1% 10.0% 10.0% 10.0% 10.0% 9.3% 8.8% 9.8% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0% 10.0% 11.0% 12.0% Jan-01 Feb-01 Mar-01 Apr-01 May-01 Jun-01 Jul-01 Aug-01 Sep-01 Oct-01 Nov-01 Dec-01 Jan-02 Feb-02 Mar-02 Apr-02 May-02 Jun-02 Jul-02 Aug-02 Sep-02 Oct-02 Nov-02 Dec-02 Jan-03 Feb-03 Months % 3.77%* Note: *Long run annual default rate is 3.77% Moody’s Forecast of Default Rates Updated Transition Matrix Probability of Default This chart shows rating migrations and the probability of default for alternative loans. Note the increase in default probability with longer loans. Bond Ratings and Historic Credit Spreads Credit Spreads for Utility Debt DSCR Criteria in Different Industries in Project Finance Electric Power: 1.3-1.4 Resources: 1.5-2.0 Telecoms: 1.5-2.0 Infrastructure: 1.2-1.6 Minimum ratio could dip to 1.5 At a mini